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John A Morrison's Blog – September 2009 Archive (1)

Principal Components Analysis (of the Robust Type) REFERENCES

A "sparring partner" on Twitter, @CMastication asked a question about PCA the other day & in looking for quick riposte I realised that I have been rather banging on here about the Copula. I couldn't find a reference here at all to PCA! So I need to fix that since I am a huge fan and big user of PCA. Of course the leading thinker in the space is Professor Croux at UKL here in Belgium who is an adviser to my firm.…



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Added by John A Morrison on September 3, 2009 at 1:00am — No Comments

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